IMPROVING THE NUMERICAL TECHNIQUE FOR COMPUTING THE ACCUMULATED DISTRIBUTION OF A QUADRATIC FORM IN NORMAL VARIABLES
This paper is concerned with the technique of numerically evaluating the cumulative distribution function of a quadratic form in normal variables. The efficiency of two new truncation bounds and all existing truncation bounds are investigated. We also find that the suggestion in the literature for f...
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Published in | Econometric reviews Vol. 21; no. 2; pp. 149 - 165 |
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Main Authors | , |
Format | Journal Article |
Language | English |
Published |
Taylor & Francis Group
2002
Taylor and Francis Journals |
Series | Econometric Reviews |
Subjects | |
Online Access | Get full text |
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Summary: | This paper is concerned with the technique of numerically evaluating the cumulative distribution function of a quadratic form in normal variables. The efficiency of two new truncation bounds and all existing truncation bounds are investigated. We also find that the suggestion in the literature for further splitting truncation errors might reduce computational efficiency, and the optimum splitting rate could be different in different situations. A practical solution is provided. The paper also discusses a modified secant algorithm for finding the critical value of the distribution at any given significance level. |
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Bibliography: | ObjectType-Article-2 SourceType-Scholarly Journals-1 ObjectType-Feature-1 content type line 23 |
ISSN: | 0747-4938 1532-4168 |
DOI: | 10.1081/ETC-120014346 |